Merge pull request #3239 from freqtrade/feat/fee_handling
Improve fee handling
This commit is contained in:
hroff-1902
GitHub
@@ -613,7 +613,7 @@ class FreqtradeBot:
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trades_closed += 1
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continue
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# Check if we can sell our current pair
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if trade.open_order_id is None and self.handle_trade(trade):
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if trade.open_order_id is None and trade.is_open and self.handle_trade(trade):
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trades_closed += 1
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except DependencyException as exception:
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@@ -755,7 +755,7 @@ class FreqtradeBot:
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# We check if stoploss order is fulfilled
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if stoploss_order and stoploss_order['status'] == 'closed':
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trade.sell_reason = SellType.STOPLOSS_ON_EXCHANGE.value
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trade.update(stoploss_order)
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self.update_trade_state(trade, stoploss_order, sl_order=True)
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# Lock pair for one candle to prevent immediate rebuys
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self.strategy.lock_pair(trade.pair,
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timeframe_to_next_date(self.config['ticker_interval']))
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@@ -1042,7 +1042,7 @@ class FreqtradeBot:
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trade.sell_reason = sell_reason.value
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# In case of market sell orders the order can be closed immediately
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if order.get('status', 'unknown') == 'closed':
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trade.update(order)
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self.update_trade_state(trade, order)
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Trade.session.flush()
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# Lock pair for one candle to prevent immediate rebuys
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@@ -1133,7 +1133,7 @@ class FreqtradeBot:
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#
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def update_trade_state(self, trade: Trade, action_order: dict = None,
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order_amount: float = None) -> bool:
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order_amount: float = None, sl_order: bool = False) -> bool:
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"""
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Checks trades with open orders and updates the amount if necessary
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Handles closing both buy and sell orders.
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@@ -1141,84 +1141,125 @@ class FreqtradeBot:
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"""
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# Get order details for actual price per unit
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if trade.open_order_id:
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# Update trade with order values
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logger.info('Found open order for %s', trade)
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try:
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order = action_order or self.exchange.get_order(trade.open_order_id, trade.pair)
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except InvalidOrderException as exception:
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logger.warning('Unable to fetch order %s: %s', trade.open_order_id, exception)
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return False
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# Try update amount (binance-fix)
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try:
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new_amount = self.get_real_amount(trade, order, order_amount)
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if not isclose(order['amount'], new_amount, abs_tol=constants.MATH_CLOSE_PREC):
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order['amount'] = new_amount
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order.pop('filled', None)
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# Fee was applied, so set to 0
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trade.fee_open = 0
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trade.recalc_open_trade_price()
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except DependencyException as exception:
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logger.warning("Could not update trade amount: %s", exception)
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order_id = trade.open_order_id
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elif trade.stoploss_order_id and sl_order:
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order_id = trade.stoploss_order_id
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else:
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return False
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# Update trade with order values
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logger.info('Found open order for %s', trade)
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try:
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order = action_order or self.exchange.get_order(order_id, trade.pair)
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except InvalidOrderException as exception:
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logger.warning('Unable to fetch order %s: %s', order_id, exception)
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return False
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# Try update amount (binance-fix)
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try:
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new_amount = self.get_real_amount(trade, order, order_amount)
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if not isclose(order['amount'], new_amount, abs_tol=constants.MATH_CLOSE_PREC):
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order['amount'] = new_amount
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order.pop('filled', None)
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trade.recalc_open_trade_price()
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except DependencyException as exception:
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logger.warning("Could not update trade amount: %s", exception)
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if self.exchange.check_order_canceled_empty(order):
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# Trade has been cancelled on exchange
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# Handling of this will happen in check_handle_timeout.
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return True
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trade.update(order)
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# Updating wallets when order is closed
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if not trade.is_open:
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self.wallets.update()
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if self.exchange.check_order_canceled_empty(order):
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# Trade has been cancelled on exchange
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# Handling of this will happen in check_handle_timeout.
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return True
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trade.update(order)
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# Updating wallets when order is closed
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if not trade.is_open:
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self.wallets.update()
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return False
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def apply_fee_conditional(self, trade: Trade, trade_base_currency: str,
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amount: float, fee_abs: float) -> float:
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"""
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Applies the fee to amount (either from Order or from Trades).
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Can eat into dust if more than the required asset is available.
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"""
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self.wallets.update()
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if fee_abs != 0 and self.wallets.get_free(trade_base_currency) >= amount:
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# Eat into dust if we own more than base currency
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logger.info(f"Fee amount for {trade} was in base currency - "
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f"Eating Fee {fee_abs} into dust.")
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elif fee_abs != 0:
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real_amount = self.exchange.amount_to_precision(trade.pair, amount - fee_abs)
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logger.info(f"Applying fee on amount for {trade} "
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f"(from {amount} to {real_amount}).")
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return real_amount
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return amount
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def get_real_amount(self, trade: Trade, order: Dict, order_amount: float = None) -> float:
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"""
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Get real amount for the trade
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Detect and update trade fee.
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Calls trade.update_fee() uppon correct detection.
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Returns modified amount if the fee was taken from the destination currency.
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Necessary for exchanges which charge fees in base currency (e.g. binance)
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:return: identical (or new) amount for the trade
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"""
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# Init variables
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if order_amount is None:
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order_amount = order['amount']
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# Only run for closed orders
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if trade.fee_open == 0 or order['status'] == 'open':
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if trade.fee_updated(order.get('side', '')) or order['status'] == 'open':
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return order_amount
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trade_base_currency = self.exchange.get_pair_base_currency(trade.pair)
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# use fee from order-dict if possible
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if ('fee' in order and order['fee'] is not None and
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(order['fee'].keys() >= {'currency', 'cost'})):
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if (order['fee']['currency'] is not None and
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order['fee']['cost'] is not None and
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trade_base_currency == order['fee']['currency']):
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new_amount = order_amount - order['fee']['cost']
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logger.info("Applying fee on amount for %s (from %s to %s) from Order",
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trade, order['amount'], new_amount)
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return new_amount
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if self.exchange.order_has_fee(order):
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fee_cost, fee_currency, fee_rate = self.exchange.extract_cost_curr_rate(order)
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logger.info(f"Fee for Trade {trade} [{order.get('side')}]: "
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f"{fee_cost:.8g} {fee_currency} - rate: {fee_rate}")
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# Fallback to Trades
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trade.update_fee(fee_cost, fee_currency, fee_rate, order.get('side', ''))
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if trade_base_currency == fee_currency:
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# Apply fee to amount
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return self.apply_fee_conditional(trade, trade_base_currency,
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amount=order_amount, fee_abs=fee_cost)
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return order_amount
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return self.fee_detection_from_trades(trade, order, order_amount)
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def fee_detection_from_trades(self, trade: Trade, order: Dict, order_amount: float) -> float:
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"""
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fee-detection fallback to Trades. Parses result of fetch_my_trades to get correct fee.
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"""
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trades = self.exchange.get_trades_for_order(trade.open_order_id, trade.pair,
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trade.open_date)
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if len(trades) == 0:
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logger.info("Applying fee on amount for %s failed: myTrade-Dict empty found", trade)
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return order_amount
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fee_currency = None
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amount = 0
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fee_abs = 0
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fee_abs = 0.0
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fee_cost = 0.0
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trade_base_currency = self.exchange.get_pair_base_currency(trade.pair)
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fee_rate_array: List[float] = []
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for exectrade in trades:
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amount += exectrade['amount']
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if ("fee" in exectrade and exectrade['fee'] is not None and
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(exectrade['fee'].keys() >= {'currency', 'cost'})):
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if self.exchange.order_has_fee(exectrade):
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fee_cost_, fee_currency, fee_rate_ = self.exchange.extract_cost_curr_rate(exectrade)
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fee_cost += fee_cost_
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if fee_rate_ is not None:
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fee_rate_array.append(fee_rate_)
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# only applies if fee is in quote currency!
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if (exectrade['fee']['currency'] is not None and
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exectrade['fee']['cost'] is not None and
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trade_base_currency == exectrade['fee']['currency']):
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fee_abs += exectrade['fee']['cost']
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if trade_base_currency == fee_currency:
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fee_abs += fee_cost_
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# Ensure at least one trade was found:
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if fee_currency:
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# fee_rate should use mean
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fee_rate = sum(fee_rate_array) / float(len(fee_rate_array)) if fee_rate_array else None
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trade.update_fee(fee_cost, fee_currency, fee_rate, order.get('side', ''))
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if not isclose(amount, order_amount, abs_tol=constants.MATH_CLOSE_PREC):
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logger.warning(f"Amount {amount} does not match amount {trade.amount}")
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raise DependencyException("Half bought? Amounts don't match")
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real_amount = amount - fee_abs
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if fee_abs != 0:
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logger.info(f"Applying fee on amount for {trade} "
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f"(from {order_amount} to {real_amount}) from Trades")
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return real_amount
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return self.apply_fee_conditional(trade, trade_base_currency,
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amount=amount, fee_abs=fee_abs)
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else:
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return amount
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